Does the associated extension matter when outputting savefiles? Could I use just any old one- to three-letter extension I felt like using (save from obvious problems that may occur, like using .dll or .exe)?

But, if you use something like dll, people probably wont want to play with it for fear of screwing something up. I could easyly be wrong though. Trying to scramble the names and putting an odd or common file extentions might be a good way to keep people away from playing with their save files if they host(but if they host, they have the right to do whatever they want with those files short of copyright infringment)